Low Latency Interest Rate Markets

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Interest Rate Markets

Author : Siddhartha Jha
Publisher : John Wiley & Sons
Page : 373 pages
File Size : 54,9 Mb
Release : 2011-03-28
Category : Business & Economics
ISBN : 9780470932209

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Interest Rate Markets by Siddhartha Jha Pdf

How to build a framework for forecasting interest rate market movements With trillions of dollars worth of trades conducted every year in everything from U.S. Treasury bonds to mortgage-backed securities, the U.S. interest rate market is one of the largest fixed income markets in the world. Interest Rate Markets: A Practical Approach to Fixed Income details the typical quantitative tools used to analyze rates markets; the range of fixed income products on the cash side; interest rate movements; and, the derivatives side of the business. Emphasizes the importance of hedging and quantitatively managing risks inherent in interest rate trades Details the common trades which can be used by investors to take views on interest rates in an efficient manner, the methods used to accurately set up these trades, as well as common pitfalls and risks?providing examples from previous market stress events such as 2008 Includes exclusive access to the Interest Rate Markets Web site which includes commonly used calculations and trade construction methods Interest Rate Markets helps readers to understand the structural nature of the rates markets and to develop a framework for thinking about these markets intuitively, rather than focusing on mathematical models

Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment

Author : Mr.Ralph Chami,Mr.Thomas F. Cosimano,Ms.Celine Rochon,Julieta Yung
Publisher : International Monetary Fund
Page : 26 pages
File Size : 45,5 Mb
Release : 2020-03-13
Category : Business & Economics
ISBN : 9781513531861

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Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment by Mr.Ralph Chami,Mr.Thomas F. Cosimano,Ms.Celine Rochon,Julieta Yung Pdf

Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with the empirical properties of cashflow valuations identified in the literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk. Capital losses are amplified when interest rates increase and risk averse investors have taken positions on instruments with longer maturity, expecting instead interest rates to revert back to their historical average.

Interest Rate Markets

Author : Siddhartha Jha
Publisher : Unknown
Page : 346 pages
File Size : 47,6 Mb
Release : 2011
Category : Bonds
ISBN : 1119200946

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Interest Rate Markets by Siddhartha Jha Pdf

"The interest rate market is a marketplace for the allocation of trillions of dollars from savers to borrowers and institutions of all sizes and types participate in the market. As other fixed income markets have grown over the past two decades, managing interest rate risk inherent in almost any fixed income instrument has become a crucial task even for portfolio managers not in interest rate markets directly. The book discusses the typical quantitative tools used to analyze rates markets such as regression, looks at the range of fixed income markets on the cash side, analyzes interest rate movements, and delves into derivatives side of the business. Beyond just mechanics of products, the markets themselves are discussed including fundamental drivers of interest rates and interest rate volatility. Fundamentals are only one piece of the puzzle and the chapters also discuss the main players in the rates markets, their motivations, and how to spot changing behavior to stay ahead of the curve. The key takeaways from these chapters is to understand the structural nature of the rates markets and develop a framework for thinking about these markets intuitively rather than just focusing on the setup of the markets currently, which is liable to change. To summarize, the focus of the book will be on the following ideas: quantitative tools which are useful in financial markets mechanics of interest rate products, both cash bonds and derivatives including swaps, options, and futures thought processes for forming a view on interest rates and related variables such as swap spreads types of trades commonly done by professionals in the market to express views and detailed discussions of methods to accurately set up the trades emphasizing the importance of hedging and quantitatively managing risks inherent in interest rate trades common pitfalls and risks facing interest rate trades especially examples from market breakdowns in 2008"--Provided by publisher.

The Valuation of US Dollar Interest Rate Swaps

Author : Julian Alworth
Publisher : Unknown
Page : 52 pages
File Size : 45,6 Mb
Release : 1993
Category : Dollar, American
ISBN : STANFORD:36105008651171

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The Valuation of US Dollar Interest Rate Swaps by Julian Alworth Pdf

Interest Rate & Currency Swaps

Author : Ravi E. Dattatreya,Raj E. S. Venkatesh,Vijaya E. Venkatesh
Publisher : Irwin Professional Publishing
Page : 264 pages
File Size : 55,9 Mb
Release : 1994
Category : Business & Economics
ISBN : STANFORD:36105060559130

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Interest Rate & Currency Swaps by Ravi E. Dattatreya,Raj E. S. Venkatesh,Vijaya E. Venkatesh Pdf

"The swap market has revolutionized the world of finance. No other instrument provides such flexibility in managing the risk of assets and liabilities. Indeed, swaps simply have no equal as financing and risk-management tools." "The growth of the swap market has been phenomenal. After coming into being less than 20 years ago, the notional value of the swap market has expanded to around $3 trillion. Among financial professionals, the influence of the swap market is second only to the Treasury yield curve in importance." "Interest Rate and Currency Swaps explains how swaps work and how they can be applied to a variety of situations. In clear, straightforward language this book describes the structure of swaps from simple to complex, risk and price analysis of swap transactions and hedging principles." "Many corporations use interest rate swaps to borrow at lower costs than they could through more traditional financing means. Similarly, with the globalization of business, currency swaps are frequently used to hedge foreign exchange risk. Indeed, for most large companies and financial institutions, swap transactions have become routine." "As the swap market has grown, so has the complexity of swap instruments. Authors Ravi Dattatreya, Raj Venkatesh and Vijaya Venkatesh describe in detail a variety of swap structures including: off-market swaps, zero coupon swaps, swaps-in-arrears, basis swaps and forward swaps." "In addition, the authors devote considerable attention to asset/liability management through swaps. They describe basic hedging techniques, as well as unveiling a new method for managing yield curve risk. For any financial institution or corporation grappling with interest rate risk, this section alone is well worth the book's price." "Other topics addressed include measuring interest rate risk, multi-currency hedging, arbitrage and speculation, scenario analysis, and Monte Carlo simulation." "Without question, swaps are the single most important finance development in recent years. Interest Rate and Currency Swaps is the definitive source to understand and apply these powerful instruments."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved

Interest Rate Swaps

Author : Nasser Saber
Publisher : Irwin Professional Publishing
Page : 305 pages
File Size : 51,6 Mb
Release : 1994
Category : Business & Economics
ISBN : 1556236557

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Interest Rate Swaps by Nasser Saber Pdf

"In little more than a decade, the interest rate swap market has grown from zero to a phenomenal size of nearly $4 trillion. Corporate users in virtually all segments of the economy now find swaps the instrument of choice for a variety of trading, hedging, and funding activities." "Yet the very ease with which they can be adapted in different capacities lends an air of mystery to swaps. Many who have used an interest rate swap to meet a particular goal find that the same instrument was used at another time to meet a very different market need. Thus swaps, despite their convenience and popularity, are still commonly referred to as "complex" or "arcane." Interest Rate Swaps: Valuation, Trading, and Processing dispels the mystery surrounding these versatile tools, showing how they evolved naturally within the international financial marketplace and pointing out the similarities between swaps and more conventional treasury products. Interest Rate Swaps shows that valuation, pricing, and portfolio management of swaps likewise follow the most basic principles of finance." "This coherent overview also focuses on new issues specifically related to swaps, such as accounting and taxation, credit risk and capital adequacy requirement, and systems and back office processing. Presenting each chapter from the point of view of hands-on practitioners in the swap market, Interest Rate Swaps offers a macro to micro format, with each chapter beginning with general background and then gradually moving to operational details; a description of different interest rate swaps and their applications; numerous examples of valuation, accounting, and credit exposure calculation - with a description of the numerical methods used in these areas; a checklist for running a successful swap back office; and reconciliation and control methods between front and back office systems." "Interest Rate Swaps is the first-ever coherent overview of swaps that offers users a full perspective on different aspects of these versatile instruments."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved

Regulated Market

Author : Fouad Sabry
Publisher : One Billion Knowledgeable
Page : 310 pages
File Size : 46,6 Mb
Release : 2024-02-11
Category : Business & Economics
ISBN : PKEY:6610000531813

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Regulated Market by Fouad Sabry Pdf

What is Regulated Market A regulated market (RM) or coordinated market is an idealized system where the government or other organizations oversee the market, control the forces of supply and demand, and to some extent regulate the market actions. This can include tasks such as determining who is allowed to enter the market and/or what prices may be charged. The majority of financial markets such as stock exchanges are regulated, whereas over-the-counter markets are usually not at all or only moderately regulated. How you will benefit (I) Insights, and validations about the following topics: Chapter 1: Regulated market Chapter 2: Monopoly Chapter 3: Natural monopoly Chapter 4: Security (finance) Chapter 5: Deregulation Chapter 6: Regulation Chapter 7: Public utility Chapter 8: New Zealand electricity market Chapter 9: Independent agencies of the United States government Chapter 10: Financial regulation Chapter 11: Anti-competitive practices Chapter 12: Coercive monopoly Chapter 13: Economic interventionism Chapter 14: State monopoly Chapter 15: Government failure Chapter 16: Regulatory economics Chapter 17: Market data Chapter 18: Regulatory agency Chapter 19: Self-regulatory organization Chapter 20: Occupational licensing Chapter 21: Government-granted monopoly (II) Answering the public top questions about regulated market. (III) Real world examples for the usage of regulated market in many fields. Who this book is for Professionals, undergraduate and graduate students, enthusiasts, hobbyists, and those who want to go beyond basic knowledge or information for any kind of Regulated Market.

Managing Hedge Fund Risk and Financing

Author : David P. Belmont
Publisher : John Wiley & Sons
Page : 400 pages
File Size : 41,9 Mb
Release : 2011-09-13
Category : Business & Economics
ISBN : 9780470827260

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Managing Hedge Fund Risk and Financing by David P. Belmont Pdf

The ultimate guide to dealing with hedge fund risk in a post-Great Recession world Hedge funds have been faced with a variety of new challenges as a result of the ongoing financial crisis. The simultaneous collapse of major financial institutions that were their trading counterparties and service providers, fundamental and systemic increases in market volatility and illiquidity, and unrelenting demands from investors to redeem their hedge fund investments have conspired to make the climate for hedge funds extremely uncomfortable. As a result, many funds have failed or been forced to close due to poor performance. Managing Hedge Fund Risk and Financing: Adapting to a New Era brings together the many lessons learned from the recent crisis. Advising hedge fund managers and CFOs on how to manage the risk of their investment strategies and structure relationships to best insulate their firms and investors from the failures of financial counterparties, the book looks in detail at the various methodologies for managing hedge fund market, credit, and operational risks depending on the hedge fund's investment strategy. Also covering best practice ISDA, Prime Brokerage, Fee and Margin Lock Up, and including tips for Committed Facility lending contracts, the book includes everything you need to know to learn from the events of the past to inform your future hedge fund dealings. Shows how to manage hedge fund risk through the application of financial risk modelling and measurement techniques as well as the structuring of financial relationships with investors, regulators, creditors, and trading counterparties Written by a global finance expert, David Belmont, who worked closely with hedge fund clients during the crisis and experienced first hand what works Explains how to profit from the financial crisis In the wake of the Financial Crisis there have been calls for more stringent management of hedge fund risk, and this timely book offers comprehensive guidelines for CFOs looking to ensure world-class levels of corporate governance.

Handbook of Blockchain, Digital Finance, and Inclusion, Volume 2

Author : David Lee Kuo Chuen,Robert H. Deng
Publisher : Academic Press
Page : 556 pages
File Size : 54,9 Mb
Release : 2017-08-16
Category : Business & Economics
ISBN : 9780128122990

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Handbook of Blockchain, Digital Finance, and Inclusion, Volume 2 by David Lee Kuo Chuen,Robert H. Deng Pdf

Handbook of Blockchain, Digital Finance, and Inclusion, Volume 2: ChinaTech, Mobile Security, and Distributed Ledger emphasizes technological developments that introduce the future of finance. Descriptions of recent innovations lay the foundations for explorations of feasible solutions for banks and startups to grow. The combination of studies on blockchain technologies and applications, regional financial inclusion movements, advances in Chinese finance, and security issues delivers a grand perspective on both changing industries and lifestyles. Written for students and practitioners, it helps lead the way to future possibilities. Explains the practical consequences of both technologies and economics to readers who want to learn about subjects related to their specialties Encompasses alternative finance, financial inclusion, impact investing, decentralized consensus ledger and applied cryptography Provides the only advanced methodical summary of these subjects available today

Derivatives

Author : Anonim
Publisher : PediaPress
Page : 1295 pages
File Size : 49,9 Mb
Release : 2024-04-20
Category : Electronic
ISBN : 8210379456XXX

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Derivatives by Anonim Pdf

Strategies of Banks and Other Financial Institutions

Author : Rajesh Kumar
Publisher : Elsevier
Page : 544 pages
File Size : 48,7 Mb
Release : 2014-07-16
Category : Business & Economics
ISBN : 9780124171671

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Strategies of Banks and Other Financial Institutions by Rajesh Kumar Pdf

How and why do strategic perspectives of financial institutions differ by class and region? Strategies of Banks and Other Financial Institutions: Theories and Cases is an introduction to global financial institutions that presents both theoretical and actual aspects of markets and institutions. The book encompasses depository and non-depository Institutions; money markets, bond markets, and mortgage markets; stock markets, derivative markets, and foreign exchange markets; mutual funds, insurance, and pension funds; and private equity and hedge funds. It also addresses Islamic financing and consolidation in financial institutions and markets. Featuring up-to-date case studies in its second half, Strategies of Banks and Other Financial Institutions proposes a useful theoretical framework and strategic perspectives about risk, regulation, markets, and challenges driving the financial sectors. Describes theories and practices that define classes of institutions and differentiate one financial institution from another Presents short, focused treatments of risk and growth strategies by balancing theories and cases Places Islamic banking and finance into a comprehensive, universal perspective

The High Frequency Game Changer

Author : Paul Zubulake,Sang Lee
Publisher : John Wiley & Sons
Page : 177 pages
File Size : 47,9 Mb
Release : 2011-04-05
Category : Business & Economics
ISBN : 9780470770382

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The High Frequency Game Changer by Paul Zubulake,Sang Lee Pdf

The financial industry's leading independent research firm's forward-looking assessment into high frequency trading Once regarded as a United States-focused trend, today, high frequency trading is gaining momentum around the world. Yet, while high frequency trading continues to be one of the hottest trends in the markets, due to the highly proprietary nature of the computer transactions, financial firms and institutions have made very little available in terms of information or "how-to" techniques. That's all changed with The High Frequency Game Changer: How Automated Trading Strategies Have Revolutionized the Markets. In the book, Zubulake and Lee present an overview of how high frequency trading is changing the face of the market. The book Explains how we got here and what it means to traders and investors Details how to build a high frequency trading firm, including the relevant tools, strategies, and trading talent Defines key components common to HFT such as algorithms, low latency trading infrastructure, collocation etc. The High Frequency Game Changer takes a highly controversial and extremely complicated subject and makes it accessible to anyone with an interest or stake in financial markets.

Trading and Electronic Markets: What Investment Professionals Need to Know

Author : Larry Harris
Publisher : CFA Institute Research Foundation
Page : 94 pages
File Size : 49,5 Mb
Release : 2015-10-19
Category : Business & Economics
ISBN : 9781934667927

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Trading and Electronic Markets: What Investment Professionals Need to Know by Larry Harris Pdf

The true meaning of investment discipline is to trade only when you rationally expect that you will achieve your desired objective. Accordingly, managers must thoroughly understand why they trade. Because trading is a zero-sum game, good investment discipline also requires that managers understand why their counterparties trade. This book surveys the many reasons why people trade and identifies the implications of the zero-sum game for investment discipline. It also identifies the origins of liquidity and thus of transaction costs, as well as when active investment strategies are profitable. The book then explains how managers must measure and control transaction costs to perform well. Electronic trading systems and electronic trading strategies now dominate trading in exchange markets throughout the world. The book identifies why speed is of such great importance to electronic traders, how they obtain it, and the trading strategies they use to exploit it. Finally, the book analyzes many issues associated with electronic trading that currently concern practitioners and regulators.

Machine Learning for Algorithmic Trading

Author : Stefan Jansen
Publisher : Packt Publishing Ltd
Page : 822 pages
File Size : 55,7 Mb
Release : 2020-07-31
Category : Business & Economics
ISBN : 9781839216787

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Machine Learning for Algorithmic Trading by Stefan Jansen Pdf

Leverage machine learning to design and back-test automated trading strategies for real-world markets using pandas, TA-Lib, scikit-learn, LightGBM, SpaCy, Gensim, TensorFlow 2, Zipline, backtrader, Alphalens, and pyfolio. Purchase of the print or Kindle book includes a free eBook in the PDF format. Key FeaturesDesign, train, and evaluate machine learning algorithms that underpin automated trading strategiesCreate a research and strategy development process to apply predictive modeling to trading decisionsLeverage NLP and deep learning to extract tradeable signals from market and alternative dataBook Description The explosive growth of digital data has boosted the demand for expertise in trading strategies that use machine learning (ML). This revised and expanded second edition enables you to build and evaluate sophisticated supervised, unsupervised, and reinforcement learning models. This book introduces end-to-end machine learning for the trading workflow, from the idea and feature engineering to model optimization, strategy design, and backtesting. It illustrates this by using examples ranging from linear models and tree-based ensembles to deep-learning techniques from cutting edge research. This edition shows how to work with market, fundamental, and alternative data, such as tick data, minute and daily bars, SEC filings, earnings call transcripts, financial news, or satellite images to generate tradeable signals. It illustrates how to engineer financial features or alpha factors that enable an ML model to predict returns from price data for US and international stocks and ETFs. It also shows how to assess the signal content of new features using Alphalens and SHAP values and includes a new appendix with over one hundred alpha factor examples. By the end, you will be proficient in translating ML model predictions into a trading strategy that operates at daily or intraday horizons, and in evaluating its performance. What you will learnLeverage market, fundamental, and alternative text and image dataResearch and evaluate alpha factors using statistics, Alphalens, and SHAP valuesImplement machine learning techniques to solve investment and trading problemsBacktest and evaluate trading strategies based on machine learning using Zipline and BacktraderOptimize portfolio risk and performance analysis using pandas, NumPy, and pyfolioCreate a pairs trading strategy based on cointegration for US equities and ETFsTrain a gradient boosting model to predict intraday returns using AlgoSeek's high-quality trades and quotes dataWho this book is for If you are a data analyst, data scientist, Python developer, investment analyst, or portfolio manager interested in getting hands-on machine learning knowledge for trading, this book is for you. This book is for you if you want to learn how to extract value from a diverse set of data sources using machine learning to design your own systematic trading strategies. Some understanding of Python and machine learning techniques is required.

Future Regulation of Derivatives Market: Is the Eu on the Right Track? 10th Report of Session 2009-10 Report with Evidence

Author : Great Britain. Parliament. House of Lords. European Union Committee
Publisher : The Stationery Office
Page : 180 pages
File Size : 44,7 Mb
Release : 2010-03-31
Category : Derivative securities
ISBN : 0108459829

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Future Regulation of Derivatives Market: Is the Eu on the Right Track? 10th Report of Session 2009-10 Report with Evidence by Great Britain. Parliament. House of Lords. European Union Committee Pdf

Inquiry conducted by Sub-committee A (Economic and Financial Affairs, and International Trade)